IEF Options History — January 2020

In January 2020, IEF traded between $110.72 and $114.08. ATM implied volatility averaged 6.0%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 1.3% (HV 20d: 4.7%). Max pain ranged from $111.00 to $112.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 31.00.

Notable Days

  • 2020-01-08: Highest Volume — 60,328 contracts
  • 2020-01-06: Largest IV drop — 70.3% change
  • 2020-01-03: Highest IV Rank — 100.0%
  • 2020-01-02: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.87$110.72$114.08$110.72$114.08
Max Pain$111.90$111.00$112.00$111.00$112.00
ATM IV6.0%3.9%18.3%12.2%5.2%
Expected Move1.6%1.3%3.3%3.3%2.1%
HV 20d4.7%3.8%5.6%5.2%4.8%
HV 60d5.5%5.4%5.8%5.7%5.4%
IV Rank18.2%3.9%100.0%75.9%12.2%
IV Percentile42.4%3.6%100.0%99.2%42.9%
Term Structure-0.1%-1.6%0.7%0.7%-0.1%
VWIV5.6%4.5%12.1%6.0%12.1%
Skew 25d-0.7%-6.5%1.1%-6.5%1.1%
Skew 10d-0.9%-8.7%2.5%1.9%0.9%
Call IV 25d6.9%4.6%25.7%15.2%6.5%
Put IV 25d6.3%4.1%25.9%8.7%7.5%
Bid-Ask Spread %79.4161.04122.2892.7986.66
Gamma HHI0.380.120.920.210.24
Net GEX11.9M-34.3M413.4M-19.7M-14.6M
Net DEX-50.8M-398.5M232.8M232.8M-398.5M
Net VEX-3.0M-3.4M-2.2M-2.8M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio31.000.00547.440.000.39
Total Volume10,405.85716260,32840,31355,959
Total OI463,757.381403,175615,407463,367411,787

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$110.72$111.0012.2%3.3%5.2%75.9%6.0%-6.5%0.7%-19.7M232.8M-2.8M0.0092.7940,16914478,415384,952
2020-01-03$111.42$111.0018.3%1.3%5.5%100.0%4.5%0.2%-1.6%-24.5M-48.8M-3.1M0.24122.2849412191,678384,983
2020-01-06$111.35$112.005.4%1.5%5.5%13.9%5.4%0.1%-0.4%-7.9M-33.4M-3.0M1.0676.4343446291,542384,744
2020-01-07$111.20$112.005.4%1.5%5.4%13.5%4.7%-0.2%-0.1%-22.9M-18.6M-2.9M50.9584.041376,98091,874384,876
2020-01-08$110.83$112.003.9%1.5%5.5%3.9%5.7%-0.5%0.5%-34.3M161.0M-2.8M547.44101.2711060,21891,934387,003
2020-01-09$110.97$112.005.0%1.5%5.6%11.0%5.5%-0.1%0.2%206.3M109.2M-3.4M0.3994.3614,4015,611111,973406,744
2020-01-10$111.26$112.004.5%1.4%5.5%7.5%5.1%-3.3%-1.5%413.4M-196.2M-3.4M1.0290.52460471131,901408,012
2020-01-13$111.10$112.004.7%1.4%4.6%8.9%4.9%-0.1%0.2%-6.9M208.8M-3.2M1.0964.605,1455,61592,540407,391
2020-01-14$111.31$112.004.5%1.3%4.1%7.7%4.7%-0.2%0.2%-14.2M108.4M-3.4M6.1664.475533997,567412,661
2020-01-15$111.59$112.004.8%1.4%3.9%9.6%4.8%-0.1%0.1%-8.3M-12.4M-3.3M1.6674.746110197,610412,854
2020-01-16$111.40$112.004.6%1.4%3.9%8.2%4.7%-0.2%0.3%-3.7M74.2M-3.3M0.1272.513614497,680412,922
2020-01-17$111.24$112.004.7%1.3%3.8%8.7%4.5%-0.1%0.1%4.8M70.0M-3.2M6.3474.927234,58397,999517,408
2020-01-21$111.74$112.005.0%1.4%4.1%10.3%4.9%-0.1%-0.2%-30.4M18.5M-3.1M8.1773.961671,36563,202339,973
2020-01-22$111.76$112.005.0%1.4%4.0%10.4%4.7%-0.5%-0.2%-31.5M7.9M-3.1M3.4269.853791,29763,328340,265
2020-01-23$112.06$112.004.8%1.4%4.1%9.1%4.6%-0.5%-0.4%-30.3M-58.9M-3.0M4.8574.652851,38363,686341,016
2020-01-24$112.44$112.005.1%1.5%4.2%10.9%4.7%-0.8%-0.4%-30.0M-153.3M-2.8M13.8461.041662,29763,895341,626
2020-01-27$113.19$112.005.7%1.7%4.6%15.0%6.0%-0.5%0.4%-25.1M-272.3M-2.6M1.4972.1929944663,908342,572
2020-01-28$112.81$112.005.7%1.7%4.9%15.4%6.0%-0.6%0.3%-26.4M-226.9M-2.7M0.1866.961,36224165,064343,008
2020-01-29$113.33$112.005.6%1.8%5.0%14.9%5.6%-0.5%0.4%-23.5M-301.2M-2.5M1.4974.451,0631,58264,706343,037
2020-01-30$113.51$112.005.7%1.8%4.8%15.4%7.6%-0.5%0.3%-19.7M-337.6M-2.4M0.6474.851,8281,16565,904344,665
2020-01-31$114.08$112.005.2%2.1%4.8%12.2%12.1%1.1%-0.1%-14.6M-398.5M-2.2M0.3986.6640,26415,69566,193345,594